Well I believe that Daniel describes it perfectly adequately in the "User Tips" section of his review of the Pronto, so take a look at that for more detail.
However, you put your Pronto in "Learn" mode press the device menu so the list drops down then when you would normally press one of the hard "left/right" buttons and a device, to program an IR function onto that device button instead
you have to hold the backlight button *and* press the "left/right" button (whichever takes you fancy). whilst holding these buttons down press the device in question and a macro is created for you - its name is the device name (but doesnt appear in any macro group as far as I can tell)
You can then add things to this new macro in the normal way - if you had already programmed your Pronto to have a siingle IR code for the device in question then that IR code is available for use within the Macro.
One interesting point about this:
If you delete all your macro's and all your macro groups, this button combination will crash the Pronto - every time! :)
